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Derivative Financial Instruments
 3 Months Ended
Mar. 31, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Financial Instruments DERIVATIVE FINANCIAL INSTRUMENTS
Risk Management Objective of Using Derivatives
We are exposed to certain risks arising from both our business operations and economic conditions. We principally manage our exposures to a wide variety of business and operational risks through management of our core business activities. We
manage economic risks, including interest rate, liquidity, and credit risk primarily by managing the amount, sources, and duration of our debt funding and the use of derivative financial instruments. Specifically, we enter into derivative financial instruments to manage exposures that arise from business activities that result in our receipt or payment of future cash amounts, the value of which are determined by interest rates. Our derivative financial instruments are used to manage differences in the amount, timing, and duration of our known or expected cash payments principally related to our borrowings.
Cash Flow Hedges of Interest Rate Risk
Our objectives in using interest rate derivatives are to add stability to interest expense and to manage our exposure to interest rate movements. To accomplish these objectives, we primarily use interest rate swaps as part of our interest rate risk management strategy. Interest rate swaps designated as cash flow hedges involve the receipt of variable amounts from a counterparty in exchange for us making fixed-rate payments over the life of the agreements without exchange of the underlying notional amount. The change in the fair value of derivatives designated and that qualify as cash flow hedges is recorded on our consolidated balance sheet in accumulated other comprehensive income and is subsequently reclassified into earnings in the period that the hedged forecasted transaction affects earnings. During the three months ended March 31, 2022 and 2021, such derivatives were used to hedge the variable cash flows associated with existing variable-rate debt.
As of March 31, 2022 and December 31, 2021, $350 million of our variable-rate debt is hedged by swaps with notional values totaling $350 million.
During the first quarter of 2022, we entered into one interest rate swap to hedge the interest rate variability associated with the term loan portion of our credit facility.
Amounts reported in accumulated other comprehensive income related to derivatives will be reclassified to interest expense as interest payments are made on our variable-rate debt. We estimate that over the next twelve months an additional $993 thousand will be reclassified to earnings as an increase to interest expense.
Non-designated Hedges
We do not use derivatives for trading or speculative purposes. During the three months ended March 31, 2022 and 2021, we did not have any derivatives that were not designated as cash flow hedges for accounting purposes.
Tabular Disclosure of Fair Values of Derivative Instruments on the Consolidated Balance Sheets
The table below presents the fair value of our derivative financial instruments as well as their classification on the consolidated balance sheet as of March 31, 2022 and December 31, 2021.
Derivative AssetsDerivative Liabilities
Balance Sheet LocationFair Value atBalance Sheet LocationFair Value at
(Dollars in thousands)
March 31, 2022
December 31, 2021
March 31, 2022
December 31, 2021
Derivatives designated as hedging instruments:
Interest rate swapsDerivative assets$11,269 $2,591 Derivative liabilities$951 $7,517 
Total$11,269 $2,591 $951 $7,517 
Tabular Disclosure of the Effect of Derivative Instruments on the Consolidated Statements of Comprehensive Income (Loss)
The table below presents the effect of our interest rate swaps on comprehensive income for the three months ended March 31, 2022 and 2021.
(Dollars in thousands)Amount of Gain or (Loss) Recognized in OCI on Derivative (Effective Portion)Location of Gain or (Loss) Reclassified from Accumulated OCI into Income (Effective Portion)Amount of Gain or (Loss) Reclassified from Accumulated OCI into Income (Effective Portion)Total Amount of Interest Expense Presented in the Consolidated Statements of Income
Three months ended March 31, 2022
$13,746 Interest expense$1,662 $(8,375)
Three months ended March 31, 2021
6,275 Interest expense1,731 (7,633)
Tabular Disclosure Offsetting Derivatives
The table below presents a gross presentation, the effects of offsetting, and a net presentation of our derivatives at March 31, 2022 and December 31, 2021. The net amounts of derivative assets or liabilities can be reconciled to the tabular disclosure of fair value. The tabular disclosure of fair value provides the location that derivative assets and liabilities are presented on the consolidated balance sheets.
Offsetting of Derivative Assets
Gross Amounts of Recognized AssetsGross Amounts Offset in the Consolidated Balance SheetNet Amounts of Assets Presented in the Consolidated Balance SheetGross Amounts Not Offset in the Consolidated Balance Sheet
(In thousands)Financial InstrumentsCash Collateral ReceivedNet Amount
March 31, 2022
$11,269 $— $11,269 $— $— $11,269 
December 31, 20212,591 — 2,591 (1,268)— 1,323 
Offsetting of Derivative Liabilities
Gross Amounts of Recognized LiabilitiesGross Amounts Offset in the Consolidated Balance SheetNet Amounts of Liabilities Presented in the Consolidated Balance SheetGross Amounts Not Offset in the Consolidated Balance Sheet
(In thousands)Financial InstrumentsCash Collateral PostedNet Amount
March 31, 2022
$951 $— $951 $— $— $951 
December 31, 20217,517 — 7,517 (1,268)— 6,249 
Credit-risk-related Contingent Features
The agreement with our derivative counterparty provides that if we default on any of our indebtedness, including default for which repayment of the indebtedness has not been accelerated by the lender, then we could also be declared in default on our derivative obligations.
At March 31, 2022 the fair value of derivatives in a net asset position related to these agreements was $10.3 million and at December 31, 2021 the fair value of derivatives in a net liability position related to these agreements was $4.9 million. As of March 31, 2022, we have not posted any collateral related to these agreements. If we or our counterparty had breached any of these provisions at March 31, 2022, we would have been entitled to the termination value of approximately $10.3 million.